The MFC Application Wizard offers you the option of statically linking the MFC Library or using the 'Shared' dll. Choose static linking.
A real interesting problem is that some machines will not have certain system files (i.e., Windows 95/98 ?). What I have done in the past is to build the program using the dynamic linking because it compiles faster, then when I'm ready to compile the Release version, set the Programs/Settings to the static library so that the finished product has all the current MFC stuff in it. That way you avoid messing arround with registering MFCxx.dll on the users machine.
But what about C++.NET. Is there any way of changing to static library linking once youve configured for the dynamic link library?